Research On Margin Rate Setting During Long Vacation Based On VaR Model From ZC Futures Company

After decades of rapid development of China's futures market,risk control has become an important topic nowadays,and it is more and more important to establish a quantitative model applicable to the risk control theory in futures industry.For China's futures market,mainly income originates from the futures transaction fees and customers deposit interest.The deposit interest income depends on the client's amount,but higher deposit rate would significantly lower the futures company competitiveness.Therefore,how to keep the security deposit rate and deposit quantity balance is very important.There are two key elements should be considered.If the risk is fully controlled,the balance point of the margin rate can be found to maximize the income.Therefore,how to fully control the risk and clearly describe the minimum margin level of the margin rate? The VaR model is widely used to solve this problem because its calculation is relatively simple and easy to understand.There are mainly two VaR calculation methods,namely parametric and non-parametric method,this dissertation chooses the non-parametric method.China's futures market was fluctuated sharply during the National Day in 2008.If no high margin rate is set before the vacation,the risk of holding position will be high.In addition,from the practical experience,futures exchanges and futures companies will generally adjust the margin level for the long vacation to achieve risk control.These phenomena are attributed to the long vacation risk.How to prevent the long vacation risk and reasonably set up the margin rate become an important analysis point in this dissertation.Firstly,this dissertation explains the research background and introduces the margin system in China's futures market.Secondly,it introduces the VaR theory.In addition,through the design of data,the Monte Carlo simulation and historical simulation are established to calculate the VaR value.About 1000 historical data are used to verify the validity of the model.Finally,the dissertation puts forward two ideas of long vacation risk prevention.General risk can be measured by VaR model.But long vacation risk can refer to historical deposit rate adjustment by futures companies.The final test indicates that by using historical simulation method,the margin rate setting during long vacation can be reasonable and hi ghly improve the margin rate setting method of ZC futures company.